SQL Server获得第一名&;构成聚合的最后一行
我有一个表,它存储了一分钟内价格变动的数据。每条记录包含最后一分钟的开放、高、低、关闭和音量SQL Server获得第一名&;构成聚合的最后一行,sql,sql-server,sql-server-2008-r2,Sql,Sql Server,Sql Server 2008 R2,我有一个表,它存储了一分钟内价格变动的数据。每条记录包含最后一分钟的开放、高、低、关闭和音量 CREATE TABLE TimeBar ( Instrument varchar(20), BarTimeStamp datetimeoffset(7), Open decimal(18, 5), High decimal(18, 5), Low decimal(18, 5), Close decimal(18, 5), Volume int ) 我试图做的是创建一个查询
CREATE TABLE TimeBar (
Instrument varchar(20),
BarTimeStamp datetimeoffset(7),
Open decimal(18, 5),
High decimal(18, 5),
Low decimal(18, 5),
Close decimal(18, 5),
Volume int
)
我试图做的是创建一个查询,在这里我可以将数据聚合到更高的时间框架中,例如,我希望能够显示每小时的开放、高、低和关闭
以下是我目前的问题,我已经设法得到了高点和低点,但你如何得到开盘和收盘
SELECT MIN(BarTimeStamp) AS TimeStamp,
MAX(High) AS High,
MIN(Low) AS Low,
SUM(Volume) AS Volume
FROM TimeBar
WHERE Instrument = 'XYZ'
GROUP BY DATEPART(YEAR, BarTimeStamp), DATEPART(MONTH, BarTimeStamp), DATEPART(DAY, BarTimeStamp), DATEPART(HOUR, BarTimeStamp)
使用主查询作为子查询,为每个记录获取最小时间戳和最大时间戳,因此,为它们获取各自的开盘价和收盘价
SELECT x.*, TI.Open, TE.Close
FROM
(
SELECT Instrument,
MIN(BarTimeStamp) AS TimeStampIni,
MAX(BarTimeStamp) AS TimeStampEnd,
MAX(High) AS High,
MIN(Low) AS Low,
SUM(Volume) AS Volume
FROM TimeBar
GROUP BY Instrument, DATEPART(YEAR, BarTimeStamp), DATEPART(MONTH, BarTimeStamp), DATEPART(DAY, BarTimeStamp), DATEPART(HOUR, BarTimeStamp)
) x
inner join TimeBar TI on ti.Instrument = x.Instrument AND TI.BarTimeStamp = x.TimeStampIni
inner join TimeBar Te on te.Instrument = x.Instrument AND Te.BarTimeStamp = x.TimeStampEnd
首先要做的是按时间范围分组:
SELECT MIN(BarTimeStamp) AS StartTimeStamp,
MAX(BarTimeStamp) AS EndTimeStamp
FROM #TimeBar
WHERE Instrument = 'TEST'
GROUP BY DATEPART(YEAR, BarTimeStamp), DATEPART(MONTH, BarTimeStamp), DATEPART(DAY, BarTimeStamp), DATEPART(HOUR, BarTimeStamp)
之后,问题是:
- 进行连接以获取范围
- 做一个连接来开始
- 正在进行连接以获取最小值
- 按原始范围分组以选择所有内容
;WITH times as (
SELECT MIN(BarTimeStamp) AS StartTimeStamp,
MAX(BarTimeStamp) AS EndTimeStamp
FROM #TimeBar
WHERE Instrument = 'TEST'
GROUP BY DATEPART(YEAR, BarTimeStamp), DATEPART(MONTH, BarTimeStamp), DATEPART(DAY, BarTimeStamp), DATEPART(HOUR, BarTimeStamp)
)
SELECT
StartTimeStamp as TimeStamp
,MIN([first].[Open]) as [Open]
,MAX(ranged.High) as High
,MAX(ranged.Low) as Low
,MIN([last].[Close]) as [Close]
,SUM(ranged.Volume) as Volume
FROM times
INNER JOIN #TimeBar ranged ON times.StartTimeStamp <= ranged.BarTimeStamp AND times.EndTimeStamp >= ranged.BarTimeStamp
INNER JOIN #TimeBar [first] ON times.StartTimeStamp = [first].BarTimeStamp
INNER JOIN #TimeBar [last] ON times.EndTimeStamp = [last].BarTimeStamp
GROUP BY [times].StartTimeStamp
结果是:
TimeStamp Open High Low Close Volume
---------------------------------- --------------------------------------- --------------------------------------- --------------------------------------- --------------------------------------- -----------
2011-11-21 01:00:00.0000000 +00:00 5.00000 7.00000 4.00000 4.00000 200
2011-11-21 02:10:00.0000000 +00:00 15.00000 16.00000 17.00000 20.00000 300
注意,我使用了一个临时表,只需将#TimeBar更改为TimeBar即可将其更改为真实表
另外,我不喜欢将
instrurmentvarchar
视为字段定义。您应该为此使用一个 谢谢,正是我想要的。
TimeStamp Open High Low Close Volume
---------------------------------- --------------------------------------- --------------------------------------- --------------------------------------- --------------------------------------- -----------
2011-11-21 01:00:00.0000000 +00:00 5.00000 7.00000 4.00000 4.00000 200
2011-11-21 02:10:00.0000000 +00:00 15.00000 16.00000 17.00000 20.00000 300